Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0575 |
| Annualized Std Dev | 0.1623 |
| Annualized Sharpe (Rf=0%) | 0.3542 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3647.0000 |
| NAs | 1.0000 |
| Minimum | -0.0922 |
| Quartile 1 | -0.0040 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0051 |
| Maximum | 0.0986 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0102 |
| Skewness | -0.0838 |
| Kurtosis | 13.9031 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0074 |
| Loss Deviation | 0.0082 |
| Downside Deviation (MAR=210%) | 0.0122 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.4389 |
| Historical VaR (95%) | -0.0148 |
| Historical ES (95%) | -0.0243 |
| Modified VaR (95%) | -0.0139 |
| Modified ES (95%) | -0.0139 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-13 | 2009-03-09 | 2011-04-27 | -0.4389 | 849 | 310 | 539 |
| 2020-01-23 | 2020-03-23 | 2020-09-02 | -0.2459 | 156 | 42 | 114 |
| 2018-01-29 | 2018-12-24 | 2019-09-03 | -0.1834 | 402 | 229 | 173 |
| 2011-06-01 | 2011-08-09 | 2012-03-08 | -0.1739 | 195 | 49 | 146 |
| 2016-09-07 | 2016-12-01 | 2017-04-24 | -0.1138 | 158 | 61 | 97 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 | -0.2 | -0.2 | -0.4 | -1.4 |
| 2007 | 0.4 | -0.3 | 0.2 | -0.3 | 0.6 | -0.3 | 0.5 | 1.3 | 0.5 | -1.6 | 0.3 | -0.4 | 0.8 |
| 2008 | 0.9 | -1.9 | 1.5 | 0.6 | 0.1 | 0.1 | -1.2 | -0.9 | 1.2 | 0.5 | -8.1 | 1.3 | -6.1 |
| 2009 | -1.9 | 0.6 | 2.2 | 0.5 | 1.4 | 1.5 | 0.6 | -1.5 | -1.3 | -2.2 | 1.9 | -0.7 | 1 |
| 2010 | 0.5 | 0.7 | 0.6 | -0.9 | 0.6 | 0.5 | 0 | 2.6 | 0.4 | -0.4 | 1.4 | 0.3 | 6.4 |
| 2011 | 1.4 | -0.6 | 0.6 | 0.6 | -1.5 | 0.4 | 0.1 | -0.4 | -1.4 | -1.5 | -0.2 | -0.2 | -2.7 |
| 2012 | 1 | 0.4 | 0.6 | 0 | -1.9 | 2.2 | 0 | 0.3 | 0.1 | 0.2 | 0.1 | 1.1 | 4.2 |
| 2013 | 0.8 | 0.3 | -0.2 | -0.2 | -2 | 0.9 | 0.6 | -0.1 | 0.1 | -0.3 | -0.1 | 0 | -0.2 |
| 2014 | -0.7 | 0.4 | -0.2 | 0.1 | 0.4 | 0.5 | 0.3 | -0.1 | -1 | 1.1 | -0.3 | -0.8 | -0.5 |
| 2015 | -1.5 | -0.1 | 0.4 | 0.6 | -0.4 | 0.6 | 0.4 | -2.6 | -0.2 | -0.9 | 0.6 | -1.2 | -4.2 |
| 2016 | 0.7 | 1.8 | 0.3 | -0.1 | 0.7 | 0 | -0.3 | 0.5 | 0.4 | -0.3 | -1 | -0.2 | 2.5 |
| 2017 | -0.2 | 0.3 | -0.2 | -0.2 | 0.6 | -0.1 | 0.1 | 0.2 | 0.2 | -0.2 | 0 | 0.3 | 1 |
| 2018 | 0.2 | -1.1 | 0.8 | -1 | -0.2 | 0.2 | -0.6 | -0.3 | 0 | 0.6 | 0.3 | 0.1 | -0.8 |
| 2019 | -0.1 | 0.2 | 0 | -1.1 | -1.1 | 0.2 | 0.1 | 0.1 | -0.7 | -0.1 | -0.1 | 0 | -2.6 |
| 2020 | -1.2 | -1.8 | -2.1 | -1.1 | 0.8 | 0.2 | -1.1 | -0.2 | 0.4 | -0.8 | 0.9 | 0.1 | -5.9 |
| 2021 | 0.4 | 1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
